Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report

costs, the increase in participation results in more informative prices. Apart from the static e ects, the model's dynamics deliver testable hypotheses about price and liquidity before and after the signal's release. Using transaction-level data, I estimate the effect of the release of the Weekly Petroleum Status Report on the bid-ask spread, volume, and midpoint returns via a difference-in-difference strategy. I find that the mean bid- ask spread doubles immediately after the release and that volume increases by 32 percent. Moreover, this effect persists over time, and is independent of the report's content whereas prices react to this information immediately. Nevertheless, liquidity at the end of the trading session is not affected by the report. 

The most recent version of the paper can be downloaded here.